My suggestion comes from my Song of Ice and Fire adaptation. It is designed to make characters a little more robust in battle, and also to ensure that when they do die that the death is at least noteworthy.
Heroic Combat: In the regular rules, if a unit a character has joined is destroyed, then the character is destroyed with it. If these rules are in effect, if a unit which has been joined by a character is destroyed, the character is simply treated as if it had not been joined to a unit at all (that is, if this has happened in combat, this means it must move to join another unit; if the unit is destroyed by shooting, the character stand is simply left where the unit was). The exception to this rules is that when a unit with a character joined to it is destroyed by another unit with a character joined to it, then the character dies with its unit. You can safely assume that the defeated character has been killed or captured in a suitably cinematic scene of character-on-character violence.
This rule was intended to increase the relative importance of characters in battles, without turning the game into a skirmish game.